By Events: based on two-value tuples where the Date field represents the event dates and the Name field represents the event names every dataset observation matching an event date is considered to be associated to a distress occurrence."Government-sponsored Enterprises" contains HĬrises: crises can be defined using two different approaches: For example, the following groups definition:įirms in the Shares Sheet: A, B, C, D, E, F, G, H The sum of the Count fields must be equal to the number of firms. Groups: group definitions are based on three-value tuples where the Name field represents the group names, the Short Name field represents the group acronyms and the Count field represents the number of firms to include in the group. State Variables: systemic state variables, with daily frequency. Separate Accounts: the separate accounts of insurance firms.Volumes: trading volume of the firms expressed in currency amount, with daily frequency.Ĭapitalizations: market capitalization of the firms, with daily frequency.ĬDS: the risk-free rate expressed in decimals (the column must be called RF and must be placed just after observation dates) and the credit default swap spreads of the firms expressed in basis points, with daily frequency.īalance Sheet Components: the balance sheet components of the firms expressed in omogeneous observations frequency, currency and scale, structured as below: Shares: prices or returns expressed in logarithmic scale of the benchmark index (the column can be labeled with any desired name and must be placed just after observation dates) and the firms, with daily frequency. Below a list of the supported Excel sheets and their respective content: analyze.m to analyze previously computed systemic risk measures.ĭatasets must be built following the structure of default ones included in every release of the framework (see Datasets folder).run.m to perform the computation of systemic risk measures.Execute one of the following scripts (they can be edited following your needs and criteria):.Create a properly structured database (see the section below).Statistics and Machine Learning Toolbox.In addition, the following products and toolboxes must be installed in order to properly execute the script: The minimum required MATLAB version is R2014b. If you found it useful to you, please consider making a donation to support its maintenance and development: The project has been published in "MATLAB Digest | Financial Services | May 2019". Some of the aforementioned models have been improved or extended according to the methodologies described in the V-Lab Documentation, which represents a great source of systemic risk measurement. FRM (Financial Risk Meter) by Mihoci et al.ADR (Asymptotic Dependence Rate) by Balla et al.
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